If you have "Yes" and "No" buttons in the Dialogbox, is there a way to change the button captions to something else, for example, "Yes" and "No" to "Proceed" and "QUit? Or, do I need a class other than Dialog? Thank you in advance.

See the API docs for Dialog - instead of taking one of the "prebuilt" static options, you construct one that has your choices.

Like this one:

Dialog
public Dialog(String message,
Object[] choices,
int[] values,
int defaultChoice,
Bitmap bitmap)Constructs a new Dialog instance.
Parameters:
message - Message to display in the dialog.
choices - Objects selectable by the user. Each object is displayed using Object.toString().
values - If this parameter is specified, instead of returning the index selected, doModal() returns the value associated with this index (useful for adding CANCEL).
defaultChoice - Initial choice selected when the Dialog is displayed. If you provide a non-null values parameter, the default choice must be present in the values array. If the values parameter is null, the default choice is the index of the initially selected item.
bitmap - Image to display in the left side of the dialog.